초록
Recent work by Shin and Sarkar (1996) examines model misspecification problems for nonstationary time series. Shin and Sarkar introduce a general regression model with integrated errors and one system of integrated regressors and discuss the limiting distributions of the OLS estimators and the usual OLS statistics such as $\hat{\sigma^2}$t, DW and $R^2$. We analyze three different model misspecification problems through a Monte Carlo study and investigate each model misspecification problem. Our Monte Carlo experiments show that DW and $R^2$ can be in general used as diagnostic tools to detect spurious regression, misspecification of nonstationary autoregressive and polynomial regression models.